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  • Search: subject:"error covariance"
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Year of publication
Subject
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Stochastic volatility in mean 5 VAR 5 Correlation 4 Korrelation 4 VAR model 4 VAR-Modell 4 error covariance 4 Lagrange multiplier test 3 Monte Carlo simulation 3 Risikomaß 3 Risk measure 3 Stochastic process 3 Stochastischer Prozess 3 Theorie 3 Theory 3 Volatility 3 Volatilität 3 ARCH model 2 ARCH-Modell 2 Estimation theory 2 Forecasting model 2 Prognoseverfahren 2 Schätztheorie 2 error covariance structure 2 model misspecification 2 Algorithm 1 Algorithmus 1 Arbeitsmobilität 1 Asymptotic property 1 Auxiliary regression 1 BEKK GARCH Model 1 Börsenkurs 1 Capital income 1 Causality analysis 1 Coal mining 1 Conditional forecast error covariance matrix 1 Conditional mean forecast 1 Covariance constancy 1 Error covariance 1 Error covariance matrix 1
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Online availability
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Free 8 Undetermined 3 CC license 1
Type of publication
All
Book / Working Paper 7 Article 4
Type of publication (narrower categories)
All
Working Paper 4 Article in journal 3 Aufsatz in Zeitschrift 3 Arbeitspapier 2 Graue Literatur 2 Non-commercial literature 2
Language
All
English 7 Undetermined 4
Author
All
Mumtaz, Haroon 5 Alam, Iskandar Ali 1 Ding, Zhuanxin 1 Eklund, Bruno 1 Hairani, Tuti 1 Kulasekera, K.B. 1 Luo, June 1 Martin, R. Douglas 1 Mustofa Usman 1 Russel, Edwin 1 Teräsvirta, Timo 1 Wamiliana 1 Widiarti 1 YANG, Yukai 1 Yang, Chaojun 1 Yang, Yukai 1
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Institution
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Center for Operations Research and Econometrics (CORE), École des Sciences Économiques de Louvain 1 Economics Institute for Research (SIR), Handelshögskolan i Stockholm 1 School of Economics and Management, University of Aarhus 1
Published in...
All
Working Paper 2 Working paper 2 CORE Discussion Papers 1 CREATES Research Papers 1 Economics letters 1 International Journal of Energy Economics and Policy : IJEEP 1 SSE/EFI Working Paper Series in Economics and Finance 1 Statistics & Probability Letters 1 The journal of asset management 1
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Source
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ECONIS (ZBW) 5 RePEc 4 EconStor 2
Showing 1 - 10 of 11
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Modeling and forecasting closing prices of some coal mining companies in Indonesia by using the VAR(3)-BEKK GARCH (1,1) model
Wamiliana; Russel, Edwin; Alam, Iskandar Ali; Widiarti; … - In: International Journal of Energy Economics and Policy : IJEEP 14 (2024) 1, pp. 579-591
Persistent link: https://www.econbiz.de/10014494811
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A generalised stochastic volatility in mean VAR: An updated algorithm
Mumtaz, Haroon - 2020
In this note we present an updated algorithm to estimate the VAR with stochastic volatility proposed in Mumtaz (2018). The model is re-written so that some of the Metropolis Hastings steps are avoided.
Persistent link: https://www.econbiz.de/10012670871
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A generalised stochastic volatility in mean VAR : an updated algorithm
Mumtaz, Haroon - 2020
In this note we present an updated algorithm to estimate the VAR with stochastic volatility proposed in Mumtaz (2018). The model is re-written so that some of the Metropolis Hastings steps are avoided.
Persistent link: https://www.econbiz.de/10012243290
Saved in:
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A generalised stochastic volatility in mean VAR
Mumtaz, Haroon - 2018
This paper introduces a VAR with stochastic volatility in mean where the residuals of the volatility equations and the observation equations are allowed to be correlated. This implies that exogeneity of shocks to volatility is not assumed apriori and structural shocks can be identified ex-post...
Persistent link: https://www.econbiz.de/10011928022
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A generalised stochastic volatility in mean VAR
Mumtaz, Haroon - 2018
This paper introduces a VAR with stochastic volatility in mean where the residuals of the volatility equations and the observation equations are allowed to be correlated. This implies that exogeneity of shocks to volatility is not assumed apriori and structural shocks can be identified ex-post...
Persistent link: https://www.econbiz.de/10011812167
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Portfolio turnover when IC is time-varying
Ding, Zhuanxin; Martin, R. Douglas; Yang, Chaojun - In: The journal of asset management 21 (2020) 7, pp. 609-622
Persistent link: https://www.econbiz.de/10012421074
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Testing constancy of the error covariance matrix in vector models against parametric alternatives using a spectral decomposition
YANG, Yukai - Center for Operations Research and Econometrics (CORE), … - 2014
I consider multivariate (vector) time series models in which the error covariance matrix may be time-varying. I derive … a test of constancy of the error covariance matrix against the alternative that the covariance matrix changes over time …
Persistent link: https://www.econbiz.de/10011094066
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Testing Constancy of the Error Covariance Matrix in Vector Models against Parametric Alternatives using a Spectral Decomposition
Yang, Yukai - School of Economics and Management, University of Aarhus - 2014
I consider multivariate (vector) time series models in which the error covariance matrix may be time-varying. I derive … a test of constancy of the error covariance matrix against the alternative that the covariance matrix changes over time …
Persistent link: https://www.econbiz.de/10010851225
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A generalised stochastic volatility in mean VAR
Mumtaz, Haroon - In: Economics letters 173 (2018), pp. 10-14
Persistent link: https://www.econbiz.de/10012022862
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Error covariance matrix estimation using ridge estimator
Luo, June; Kulasekera, K.B. - In: Statistics & Probability Letters 83 (2013) 1, pp. 257-264
adaptive thresholding technique to estimate the error covariance matrix in high dimensional factor model. By obtaining the …
Persistent link: https://www.econbiz.de/10011039832
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